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Total fair value swap

  • US 7,567,928 B1
  • Filed: 01/31/2006
  • Issued: 07/28/2009
  • Est. Priority Date: 09/12/2005
  • Status: Active Grant
First Claim
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1. A computer-implemented method for facilitating a Total Fair Value Swap transaction between a first counterparty and a second counterparty, the method implemented using a transaction management processor, a rate monitor, and a database, the method comprising:

  • maintaining an electronic record in the database, the electronic record related to the Total Fair Value Swap transaction, the record reflecting the first counterparty'"'"'s obligation to make one or more fixed payments to the second counterparty and the second counterparty'"'"'s obligation to make floating payments to the first counterparty;

    calculating an amount for each fixed payment using the transaction management processor, the calculation based on a reference interest rate determined by the rate monitor;

    deriving, based on information retrieved by the rate monitor from a credit default swap market, a credit spread associated with the second counterparty at a specified time prior to each floating payment;

    determining, based on each derived credit spread, an amount for each floating payment using the transaction management processor, such that the amount for each determined floating payment varies when the derived credit spread of the second counterparty varies; and

    managing receipt of the one or more fixed payments and the floating payments using the transaction management processor, wherein managing comprises at least one of confirming, recording, and scheduling of the fixed and floating payments.

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